309 lines
12 KiB
MQL5
309 lines
12 KiB
MQL5
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//+------------------------------------------------------------------+
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//| CascadeGreepMaster |
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//| Copyright 2025 Cascade (AI) |
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//| Purpose: Publish per-symbol risk/SL/cooldown multipliers |
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//| based on News, Volatility, and Equity regimes. |
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//+------------------------------------------------------------------+
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#property copyright "Cascade AI"
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#property link "https://windsurf.ai"
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#property version "1.0"
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#property strict
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#include <Trade/Trade.mqh>
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//==================== Inputs ====================
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input group "Symbols"
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input string InpSymbols = "EURUSD;AUDUSD;USDCAD;USDJPY;XAUUSD"; // semicolon-separated
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input string InpGVNamespace = "CGreep"; // base for global variables
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input int InpUpdateSeconds = 60; // update frequency
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input group "News Regime"
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input bool InpUseNews = true;
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input int InpNewsWindowBeforeMin = 60; // minutes before event
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input int InpNewsWindowAfterMin = 15; // minutes after event
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input double InpNewsWeightLow = 0.85; // min risk factor near low-impact
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input double InpNewsWeightMedium = 0.60; // min risk factor near medium-impact
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input double InpNewsWeightHigh = 0.30; // min risk factor near high-impact
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input group "Volatility Regime (ATR)"
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input bool InpUseVolatility = true;
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input ENUM_TIMEFRAMES InpVolTF = PERIOD_H1;
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input int InpATRPeriod = 14;
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input int InpATRAvgLookback = 100; // bars for average ATR baseline
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input double InpVolMinRiskFactor = 0.50; // floor when volatility is extreme
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input bool InpVolAllowUpsize = false; // allow >1.0 risk factor in very low vol
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input group "Equity Regime"
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input bool InpUseEquity = true;
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input double InpDailyLossSoftPercent = 1.0; // when daily DD >= this, reduce risk
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input double InpEquityMinRiskFactor = 0.50; // floor under soft daily DD
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input bool InpEquityAllowUpsize = false; // allow >1.0 on strong daily profit
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input double InpDailyWinBoostCap = 1.10; // max upsize if allowed
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input group "Composition & Publishing"
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input double InpMinRiskFactor = 0.20; // global floor
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input double InpMaxRiskFactor = 1.00; // global cap
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input double InpSLMultGainOnCut = 1.00; // sl_mult = 1 + gain*(1-risk_factor)
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input double InpCooldownGainOnCut = 2.00; // cooldown_mult = 1 + gain*(1-risk_factor)
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input group "XAU Overrides"
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input double InpXAU_NewsWeightLow = 0.80; // XAU: min risk factor near low-impact
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input double InpXAU_NewsWeightMedium = 0.50; // XAU: medium-impact
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input double InpXAU_NewsWeightHigh = 0.25; // XAU: high-impact
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input int InpXAU_NewsWindowBeforeMin = 90; // XAU: minutes before
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input int InpXAU_NewsWindowAfterMin = 30; // XAU: minutes after
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input double InpXAU_VolMinRiskFactor = 0.35; // XAU: stronger cut under high vol
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input bool InpXAU_VolAllowUpsize = false; // XAU: no upsize on low vol
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input double InpXAU_MinRiskFactor = 0.30; // XAU: global floor
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input double InpXAU_SLMultGainOnCut = 1.50; // XAU: widen SL more when cut
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input double InpXAU_CooldownGainOnCut = 3.00; // XAU: longer cooldown when cut
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//==================== Globals ====================
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string g_symbols[];
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int g_day_key=0;
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double g_day_equity_start=0.0;
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//==================== Utils ====================
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void TrimString(string &s)
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{
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int start=0; while(start<StringLen(s) && StringGetCharacter(s,start)<=32) start++;
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int end=StringLen(s)-1; while(end>=0 && StringGetCharacter(s,end)<=32) end--;
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if(end<start) { s=""; return; }
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s=StringSubstr(s,start,end-start+1);
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}
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void Split(const string src, const string delim, string &out[])
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{
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ArrayResize(out,0);
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int pos=0, last=0; int dlen=StringLen(delim);
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while((pos=StringFind(src,delim,last))!=-1)
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{
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string token=StringSubstr(src,last,pos-last);
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TrimString(token);
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if(StringLen(token)>0) {
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int n=ArraySize(out); ArrayResize(out,n+1); out[n]=token;
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}
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last=pos+dlen;
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}
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string tail=StringSubstr(src,last);
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TrimString(tail);
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if(StringLen(tail)>0) { int n=ArraySize(out); ArrayResize(out,n+1); out[n]=tail; }
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}
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int TodayKey()
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{
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MqlDateTime dt; TimeToStruct(TimeTradeServer(), dt);
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return dt.year*10000+dt.mon*100+dt.day;
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}
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void DailyResetIfNeeded()
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{
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int key=TodayKey();
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if(key!=g_day_key)
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{
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g_day_key=key;
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g_day_equity_start=AccountInfoDouble(ACCOUNT_EQUITY);
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Print("[MASTER] New day baseline equity=", g_day_equity_start);
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}
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}
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string Ccy1(const string sym)
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{
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if(StringLen(sym)>=3) return StringSubstr(sym,0,3);
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return "";
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}
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string Ccy2(const string sym)
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{
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if(StringLen(sym)>=6) return StringSubstr(sym,3,3);
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return "";
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}
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// clamp helper
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double Clamp(const double v, const double lo, const double hi) { return MathMax(lo, MathMin(hi, v)); }
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bool SymbolIsXAU(const string sym)
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{
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return (StringFind(sym, "XAU", 0) >= 0 || StringFind(sym, "GOLD", 0) >= 0);
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}
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//==================== Calendar & News ====================
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double ImpactWeightWeighted(const int importance, const double wLow, const double wMed, const double wHigh)
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{
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// 0=low,1=medium,2=high in most terminals; fallback to medium otherwise
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if(importance<=0) return wLow;
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if(importance==1) return wMed;
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return wHigh;
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}
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double NewsFactorForCurrencyWeighted(const string ccy,
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const int beforeMin,
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const int afterMin,
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const double wLow,
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const double wMed,
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const double wHigh)
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{
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if(!InpUseNews || StringLen(ccy)==0) return 1.0;
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datetime now = TimeTradeServer();
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datetime from = now - afterMin*60;
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datetime to = now + beforeMin*60;
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MqlCalendarValue vals[]; ArrayFree(vals);
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ResetLastError();
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int n = CalendarValueHistory(vals, from, to, NULL, ccy);
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if(n<=0)
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{
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int err=GetLastError();
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if(err!=0) PrintFormat("[MASTER] CalendarValueHistory returned %d (err=%d) for %s", n, err, ccy);
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return 1.0; // neutral if not available
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}
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double factor=1.0;
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for(int i=0;i<n;i++)
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{
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MqlCalendarValue v = vals[i];
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ulong eid = v.event_id;
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MqlCalendarEvent evt; if(!CalendarEventById((long)eid, evt)) continue;
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double w = ImpactWeightWeighted((int)evt.importance, wLow, wMed, wHigh);
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// proximity scaling
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int minutes = (int)MathRound((double)(v.time - now) / 60.0);
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double prox=0.0; // 0 outside windows, 1 at event time
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if(minutes>=0 && minutes<=beforeMin)
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prox = (double)(beforeMin - minutes)/beforeMin;
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else if(minutes<0 && -minutes<=afterMin)
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prox = (double)(afterMin - (-minutes))/afterMin;
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else
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continue;
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double event_factor = 1.0 - (1.0 - w) * prox; // ramps from 1 -> w as prox->1
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factor = MathMin(factor, event_factor);
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}
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return factor;
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}
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//==================== Volatility (ATR) ====================
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bool CopyOne(const int handle, const int buffer, const int shift, double &out)
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{
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double tmp[]; int r=CopyBuffer(handle,buffer,shift,1,tmp);
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if(r!=1) return false; out=tmp[0]; return true;
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}
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double VolatilityFactorForSymbolParams(const string sym, const double volMinRiskFactor, const bool allowUpsize)
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{
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if(!InpUseVolatility) return 1.0;
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int hATR = iATR(sym, InpVolTF, InpATRPeriod);
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if(hATR==INVALID_HANDLE) return 1.0;
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double currATR; if(!CopyOne(hATR,0,1,currATR)) { IndicatorRelease(hATR); return 1.0; }
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int n = InpATRAvgLookback;
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double arr[]; int got = CopyBuffer(hATR,0,1,n,arr);
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IndicatorRelease(hATR);
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if(got<=10) return 1.0;
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double sum=0; int cnt=0; for(int i=0;i<got;i++){ if(arr[i]>0){ sum+=arr[i]; cnt++; }}
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if(cnt==0) return 1.0;
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double avg = sum/cnt;
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double ratio = (avg>0 ? currATR/avg : 1.0);
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// higher ATR -> reduce risk; lower ATR -> optionally allow slight upsize
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double f = 1.0/MathSqrt(MathMax(0.0001, ratio));
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if(!allowUpsize) f = MathMin(1.0, f);
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f = Clamp(f, volMinRiskFactor, InpMaxRiskFactor);
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return f;
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}
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//==================== Equity Regime ====================
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double EquityFactor()
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{
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if(!InpUseEquity) return 1.0;
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if(g_day_equity_start<=0) return 1.0;
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double eq = AccountInfoDouble(ACCOUNT_EQUITY);
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double ddpct = (g_day_equity_start - eq)/g_day_equity_start * 100.0;
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if(ddpct >= InpDailyLossSoftPercent)
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return Clamp(InpEquityMinRiskFactor, InpMinRiskFactor, InpMaxRiskFactor);
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// optional upsize on strong day
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double profitpct = (eq - g_day_equity_start)/g_day_equity_start * 100.0;
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if(InpEquityAllowUpsize && profitpct>=1.0)
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return Clamp(InpDailyWinBoostCap, InpMinRiskFactor, InpMaxRiskFactor);
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return 1.0;
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}
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//==================== Compose & Publish ====================
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void PublishForSymbol(const string sym)
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{
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string c1=Ccy1(sym), c2=Ccy2(sym);
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bool isXAU = SymbolIsXAU(sym);
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double rf=1.0;
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if(InpUseNews)
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{
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if(isXAU)
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{
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// Use USD-side news primarily for XAUUSD
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double nf_usd = NewsFactorForCurrencyWeighted("USD",
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InpXAU_NewsWindowBeforeMin,
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InpXAU_NewsWindowAfterMin,
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InpXAU_NewsWeightLow,
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InpXAU_NewsWeightMedium,
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InpXAU_NewsWeightHigh);
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rf = MathMin(rf, nf_usd);
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}
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else
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{
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double nf1 = NewsFactorForCurrencyWeighted(c1, InpNewsWindowBeforeMin, InpNewsWindowAfterMin,
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InpNewsWeightLow, InpNewsWeightMedium, InpNewsWeightHigh);
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double nf2 = NewsFactorForCurrencyWeighted(c2, InpNewsWindowBeforeMin, InpNewsWindowAfterMin,
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InpNewsWeightLow, InpNewsWeightMedium, InpNewsWeightHigh);
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rf = MathMin(rf, nf1);
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rf = MathMin(rf, nf2);
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}
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}
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double vf = VolatilityFactorForSymbolParams(sym, isXAU ? InpXAU_VolMinRiskFactor : InpVolMinRiskFactor,
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isXAU ? InpXAU_VolAllowUpsize : InpVolAllowUpsize);
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rf = MathMin(rf, vf);
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double ef = EquityFactor(); rf = MathMin(rf, ef);
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double floor_rf = isXAU ? InpXAU_MinRiskFactor : InpMinRiskFactor;
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rf = Clamp(rf, floor_rf, InpMaxRiskFactor);
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double sl_gain = isXAU ? InpXAU_SLMultGainOnCut : InpSLMultGainOnCut;
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double cd_gain = isXAU ? InpXAU_CooldownGainOnCut : InpCooldownGainOnCut;
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double sl_mult = 1.0 + sl_gain * (1.0 - rf);
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double cd_mult = 1.0 + cd_gain * (1.0 - rf);
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string base = InpGVNamespace + "/";
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GlobalVariableSet(base+"risk_mult/"+sym, rf);
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GlobalVariableSet(base+"sl_mult/"+sym, sl_mult);
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GlobalVariableSet(base+"cooldown_mult/"+sym, cd_mult);
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GlobalVariableSet(base+"updated_ts", (double)TimeTradeServer());
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// optional: debug
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PrintFormat("[MASTER] %s rf=%.2f sl_mult=%.2f cd_mult=%.2f (news/vol/equity)%s", sym, rf, sl_mult, cd_mult, isXAU?" [XAU]":"");
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}
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void UpdateAll()
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{
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DailyResetIfNeeded();
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for(int i=0;i<ArraySize(g_symbols);++i)
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PublishForSymbol(g_symbols[i]);
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}
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//==================== Events ====================
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int OnInit()
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{
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g_day_key = TodayKey();
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g_day_equity_start = AccountInfoDouble(ACCOUNT_EQUITY);
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Split(InpSymbols, ";", g_symbols);
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EventSetTimer(InpUpdateSeconds);
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Print("[MASTER] Initialized for symbols: ", InpSymbols);
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return(INIT_SUCCEEDED);
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}
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void OnDeinit(const int reason)
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{
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EventKillTimer();
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}
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void OnTimer()
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{
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UpdateAll();
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}
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void OnTick()
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{
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// Also update opportunistically on tick
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static datetime last=0; datetime now=TimeCurrent();
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if(now-last >= InpUpdateSeconds) { UpdateAll(); last=now; }
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}
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//+------------------------------------------------------------------+
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